Market making and mean reversion

Proceedings of the ACM Conference on Electronic Commerce

Volumn , Issue , 2011, Pages 307-313

  Chakraborty, Tanmoy ^a   Kearns, Michael ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

algorithmic trading; computational finance; market making; mean reversion

Indexed keywords

ALGORITHMIC TRADING; COMPUTATIONAL FINANCE; EXPECTED PROFITS; FOREIGN EXCHANGE; LOCAL PRICES; MARKET MAKING; MARKET-MAKER; MEAN REVERSION; ORNSTEIN-UHLENBECK PROCESS; POSITIVE EFFECTS; PRICE CHANGES; PRICE EVOLUTION; TIME SERIES MODELS; TRADING STRATEGIES;

ALGORITHMS; CHARACTERIZATION; COSTS; ELECTRONIC COMMERCE; STOCHASTIC SYSTEMS; TIME SERIES;

PROFITABILITY;

EID: 79959580777     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1145/1993574.1993622     Document Type: Conference Paper

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